Outcomes
By the end of this training course, trainees will be able to:
- Describe the credit instruments types and characteristics.
- Describe the entire credit life cycle from origination to repayment.
- Analyze and describe the credit risk drivers.
- Differentiate between credit risk and counterparty risk.
- Analyze and compare credit risk evaluation methodologies and concepts.
- Describe external rating scales, the rating process, and the link between ratings and default.
- Compare external and internal ratings’ approaches.
- Identify important factors used to calculate economic capital for credit risk: probability of default, exposure, and loss rate.
- Calculate expected loss (EL) and unexpected loss (UL).
- Describe challenges to quantifying credit risk.
- Interpret the main approaches used to model credit risk in a portfolio context and specify the pros and cons of each approach.
- Describe the tools and methodologies used to mitigate credit risk.
- Define the Credit Risk Stress Testing methodologies.
Target Group
- Professionals working in:
- Credit .
- Risk .
- Capital Management.
- Regulatory Compliance.
- Audit.
Contents
- Introduction to Credit Risk:
- Lenders and borrowers.
- Types and Characteristics of Credit Products.
- The Credit Process.
- The Credit Analysis Process.
- Drivers of Credit Risk:
- Probability of Default.
- Exposure at Default.
- Loss Given Default.
- Settlement risk and pre-settlement risk.
- Credit Risk and Counterparty Risk.
- Case study: Role of securitization in the 2007-08 financial crisis.
- Measurement of Credit Risk :
- Measurement Tools Progression:
- Notional amount.
- Risk-weighted amounts.
- Notional amounts combined with credit ratings.
- Internal portfolio credit models.
- Default Risk.
- Recovery rates.
- Credit Conversion Factors.
- Credit Risk Mitigation.
- Practical exercises of credit risk exposures.
- Default and Credit Migration:
- Credit rating and credit spread.
- Agency ratings.
- Credit Scoring and internal models.
- Portfolio Credit Risk Models
- Case Study.
- Managing Credit Risk:
- IFRS9/NPL Classification and Provisioning.
- Expected and unexpected risk (RAROC).
- Measuring the Distribution of Credit Losses .
- Measuring Expected Credit Loss .
- Measuring Credit VaR.
- Default probabilities and term structures of default rates.
- Credit Risk Stress Testing .